High-dimensional dynamic factor models: a selective survey and lines of future research
Systems and Control
2022-02-17 v1 Systems and Control
Statistics Theory
Statistics Theory
Abstract
High-Dimensional Dynamic Factor Models are presented in detail: The main assumptions and their motivation, main results, illustrations by means of elementary examples. In particular, the role of singular ARMA models in the theory and applications of High-Dimensional Dynamic Factor Models is discussed.The emphasis of the paper is on model classes and their structure theory, rather than on estimation in the narrow sense. Our aim is not a comprehensive survey. Rather we try to point out promising lines of research and applications that have not yet been sufficiently developed.
Cite
@article{arxiv.2202.07745,
title = {High-dimensional dynamic factor models: a selective survey and lines of future research},
author = {Marco Lippi and Manfred Deistler and Brian Anderson},
journal= {arXiv preprint arXiv:2202.07745},
year = {2022}
}
Comments
28 pages